This portfolio backtesting tool allows you to construct one or more portfolios based on the selected asset class level allocations in order to analyze and backtest portfolio returns, risk characteristics, drawdowns, and rolling returns. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.
You can also use the portfolio backtesting tool to build and compare portfolios based on specific mutual funds, ETFs, and stocks.
Asset Class | Allocation |
---|---|
US Stock Market | 21.25% |
Intl Developed ex-US Market | 21.25% |
Emerging Markets | 42.50% |
10-year Treasury | 7.50% |
Global Bonds (Unhedged) | 7.50% |
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Asset Class | Allocation |
---|---|
European Stocks | 100.00% |
Save asset allocation » |
Asset Class | Allocation |
---|---|
Global Bonds (USD Hedged) | 100.00% |
Save asset allocation » |
Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|---|---|
Portfolio 1 | $10,000 | $31,992 | 8.66% | 15.09% | 44.92% | -37.75% | -50.34% | 0.55 | 0.82 | 0.87 |
Portfolio 2 | $10,000 | $23,505 | 6.29% | 18.31% | 33.42% | -44.73% | -59.72% | 0.36 | 0.52 | 0.87 |
Portfolio 3 | $10,000 | $21,089 | 5.47% | 3.67% | 15.30% | -2.35% | -10.03% | 1.12 | 1.88 | 0.17 |
iShares MSCI Spain ETF | $10,000 | $20,677 | 5.33% | 24.63% | 49.25% | -36.78% | -58.63% | 0.29 | 0.43 | 0.70 |
Name | Annualized Return | Annualized Volatility | ||||||
---|---|---|---|---|---|---|---|---|
3 Month | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
Portfolio 1 | 5.06% | 24.19% | 7.90% | 6.95% | 4.41% | 8.66% | 10.02% | 9.72% |
Portfolio 2 | 2.00% | 26.82% | 7.23% | 7.49% | 1.60% | 6.29% | 12.17% | 12.43% |
Portfolio 3 | 0.64% | 4.32% | 3.46% | 3.80% | 5.77% | 5.47% | 3.16% | 3.12% |
iShares MSCI Spain ETF | -1.17% | 26.99% | 1.75% | 5.42% | -1.71% | 5.33% | 17.83% | 18.85% |
Trailing annualized return and volatility are for full months ending in December 2017 excluding portfolio cashflows. |
Year | Inflation | Portfolio 1 | Portfolio 2 | Portfolio 3 | iShares MSCI Spain ETF | US Stock Market | Intl Developed ex-US Market | Emerging Markets | 10-year Treasury | Global Bonds (Unhedged) | European Stocks | Global Bonds (USD Hedged) | ||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Return | Balance | Return | Balance | Return | Balance | Return | Balance | |||||||||
2004 | 3.26% | 19.27% | $11,927 | 20.86% | $12,086 | 6.11% | $10,611 | 30.13% | $13,013 | 12.52% | 20.25% | 26.12% | 4.50% | 11.57% | 20.86% | 6.11% |
2005 | 3.42% | 17.53% | $14,018 | 9.26% | $13,205 | 4.98% | $11,139 | 4.56% | $13,606 | 5.98% | 13.60% | 32.05% | 3.01% | -6.36% | 9.26% | 4.98% |
2006 | 2.54% | 21.97% | $17,098 | 33.42% | $17,618 | 2.94% | $11,467 | 49.25% | $20,307 | 15.51% | 26.27% | 29.39% | 2.19% | 5.85% | 33.42% | 2.94% |
2007 | 4.08% | 21.55% | $20,782 | 13.82% | $20,053 | 4.99% | $12,040 | 20.93% | $24,558 | 5.49% | 11.15% | 38.90% | 10.42% | 9.26% | 13.82% | 4.99% |
2008 | 0.09% | -37.75% | $12,937 | -44.73% | $11,084 | -2.35% | $11,757 | -36.78% | $15,525 | -37.04% | -41.27% | -52.81% | 20.53% | -2.68% | -44.73% | -2.35% |
2009 | 2.72% | 44.92% | $18,749 | 31.91% | $14,621 | 15.30% | $13,555 | 33.02% | $20,651 | 28.70% | 28.27% | 75.98% | -10.17% | 17.17% | 31.91% | 15.30% |
2010 | 1.50% | 14.86% | $21,535 | 4.91% | $15,339 | 8.53% | $14,711 | -18.87% | $16,754 | 17.09% | 8.36% | 18.86% | 7.92% | 11.24% | 4.91% | 8.53% |
2011 | 2.96% | -8.53% | $19,699 | -11.60% | $13,559 | 8.60% | $15,976 | -10.08% | $15,066 | 0.96% | -12.51% | -18.78% | 16.24% | 9.20% | -11.60% | 8.60% |
2012 | 1.74% | 16.08% | $22,867 | 20.80% | $16,380 | 9.54% | $17,499 | 5.43% | $15,884 | 16.25% | 18.56% | 18.64% | 2.73% | 7.42% | 20.80% | 9.54% |
2013 | 1.50% | 8.55% | $24,821 | 24.70% | $20,427 | -0.81% | $17,357 | 31.86% | $20,944 | 33.35% | 22.06% | -5.19% | -8.57% | -5.04% | 24.70% | -0.81% |
2014 | 0.76% | 2.59% | $25,464 | -6.67% | $19,065 | 9.70% | $19,041 | -6.28% | $19,628 | 12.43% | -5.66% | 0.42% | 10.63% | 2.37% | -6.67% | 9.70% |
2015 | 0.73% | -6.74% | $23,749 | -2.00% | $18,683 | -0.00% | $19,041 | -15.51% | $16,584 | 0.29% | -0.19% | -15.47% | 1.12% | -3.57% | -2.00% | -0.00% |
2016 | 2.07% | 8.47% | $25,760 | -0.80% | $18,534 | 6.17% | $20,216 | -1.82% | $16,283 | 12.53% | 2.45% | 11.50% | 1.00% | 4.25% | -0.80% | 6.17% |
2017 | 2.11% | 24.19% | $31,992 | 26.82% | $23,505 | 4.32% | $21,089 | 26.99% | $20,677 | 21.05% | 26.40% | 31.15% | 2.39% | 9.21% | 26.82% | 4.32% |
Metric | Portfolio 1 | Portfolio 2 | Portfolio 3 | iShares MSCI Spain ETF |
---|---|---|---|---|
Arithmetic Mean (monthly) | 0.79% | 0.65% | 0.45% | 0.69% |
Arithmetic Mean (annualized) | 9.91% | 8.11% | 5.54% | 8.56% |
Geometric Mean (monthly) | 0.69% | 0.51% | 0.45% | 0.43% |
Geometric Mean (annualized) | 8.66% | 6.29% | 5.47% | 5.33% |
Volatility (monthly) | 4.36% | 5.29% | 1.06% | 7.11% |
Volatility (annualized) | 15.09% | 18.31% | 3.67% | 24.63% |
Downside Deviation (monthly) | 2.89% | 3.67% | 0.60% | 4.74% |
Max. Drawdown | -50.34% | -59.72% | -10.03% | -58.63% |
US Market Correlation | 0.87 | 0.87 | 0.17 | 0.70 |
Beta(*) | 0.48 | 0.66 | 0.03 | 1.00 |
Alpha (annualized) | 5.54% | 2.41% | 5.19% | -0.00% |
R2 | 60.91% | 78.16% | 3.14% | 100.00% |
Sharpe Ratio | 0.55 | 0.36 | 1.12 | 0.29 |
Sortino Ratio | 0.82 | 0.52 | 1.88 | 0.43 |
Treynor Ratio (%) | 17.31 | 10.07 | 159.35 | 7.04 |
Calmar Ratio | 0.45 | 0.42 | 0.94 | 0.06 |
Active Return | 3.34% | 0.97% | 0.15% | N/A |
Tracking Error | 15.95% | 12.02% | 24.25% | N/A |
Information Ratio | 0.21 | 0.08 | 0.01 | N/A |
Skewness | -0.61 | -0.65 | -0.57 | -0.13 |
Excess Kurtosis | 2.50 | 2.02 | 4.15 | 1.26 |
Historical Value-at-Risk (5%) | -6.93% | -9.17% | -1.08% | -10.22% |
Analytical Value-at-Risk (5%) | -6.38% | -8.04% | -1.29% | -11.01% |
Conditional Value-at-Risk (5%) | -9.74% | -12.72% | -2.05% | -15.35% |
Upside Capture Ratio (%) | 56.07 | 68.94 | 8.88 | 100.00 |
Downside Capture Ratio (%) | 46.63 | 68.02 | -6.53 | 100.00 |
Safe Withdrawal Rate | 11.74% | 9.64% | 8.84% | 10.34% |
Perpetual Withdrawal Rate | 6.04% | 3.95% | 3.20% | 3.06% |
Positive Periods | 104 out of 168 (61.90%) | 99 out of 168 (58.93%) | 122 out of 168 (72.62%) | 95 out of 168 (56.55%) |
Gain/Loss Ratio | 1.00 | 0.95 | 1.17 | 0.99 |
* iShares MSCI Spain ETF is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. |
Stress Period | Start | End | Portfolio 1 | Portfolio 2 | Portfolio 3 | iShares MSCI Spain ETF |
---|---|---|---|---|---|---|
Subprime Crisis | Nov 2007 | Mar 2009 | -50.34% | -59.72% | -10.03% | -55.75% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Nov 2007 | Feb 2009 | 1 year 4 months | Mar 2011 | 2 years 1 month | 3 years 5 months | -50.34% |
2 | May 2011 | Sep 2011 | 5 months | Jan 2013 | 1 year 4 months | 1 year 9 months | -19.18% |
3 | May 2015 | Feb 2016 | 10 months | Feb 2017 | 1 year | 1 year 10 months | -17.49% |
4 | May 2006 | Jun 2006 | 2 months | Oct 2006 | 4 months | 6 months | -6.30% |
5 | Apr 2004 | Jul 2004 | 4 months | Oct 2004 | 3 months | 7 months | -6.22% |
6 | May 2013 | Jun 2013 | 2 months | Oct 2013 | 4 months | 6 months | -5.83% |
7 | Sep 2014 | Dec 2014 | 4 months | Apr 2015 | 4 months | 8 months | -5.75% |
8 | Mar 2005 | Apr 2005 | 2 months | Jul 2005 | 3 months | 5 months | -5.73% |
9 | Jan 2014 | Jan 2014 | 1 month | Mar 2014 | 2 months | 3 months | -4.37% |
10 | Oct 2005 | Oct 2005 | 1 month | Nov 2005 | 1 month | 2 months | -4.23% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Nov 2007 | Feb 2009 | 1 year 4 months | Apr 2014 | 5 years 2 months | 6 years 6 months | -59.72% |
2 | Jun 2014 | Feb 2016 | 1 year 9 months | May 2017 | 1 year 3 months | 3 years | -20.77% |
3 | Mar 2005 | May 2005 | 3 months | Jul 2005 | 2 months | 5 months | -4.49% |
4 | Mar 2004 | Apr 2004 | 2 months | Sep 2004 | 5 months | 7 months | -3.93% |
5 | Oct 2005 | Oct 2005 | 1 month | Dec 2005 | 2 months | 3 months | -3.23% |
6 | Jun 2007 | Aug 2007 | 3 months | Sep 2007 | 1 month | 4 months | -3.22% |
7 | May 2006 | May 2006 | 1 month | Aug 2006 | 3 months | 4 months | -2.45% |
8 | Jan 2005 | Jan 2005 | 1 month | Feb 2005 | 1 month | 2 months | -1.89% |
9 | Feb 2007 | Feb 2007 | 1 month | Mar 2007 | 1 month | 2 months | -0.99% |
10 | Jun 2017 | Jun 2017 | 1 month | Jul 2017 | 1 month | 2 months | -0.77% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Mar 2008 | Nov 2008 | 9 months | Jul 2009 | 8 months | 1 year 5 months | -10.03% |
2 | May 2013 | Aug 2013 | 4 months | Apr 2014 | 8 months | 1 year | -4.24% |
3 | Feb 2015 | Jun 2015 | 5 months | Apr 2016 | 10 months | 1 year 3 months | -3.67% |
4 | Oct 2016 | Nov 2016 | 2 months | Apr 2017 | 5 months | 7 months | -2.07% |
5 | Nov 2010 | Dec 2010 | 2 months | May 2011 | 5 months | 7 months | -1.97% |
6 | Mar 2007 | Jun 2007 | 4 months | Aug 2007 | 2 months | 6 months | -1.62% |
7 | Dec 2006 | Jan 2007 | 2 months | Feb 2007 | 1 month | 3 months | -1.06% |
8 | Sep 2005 | Oct 2005 | 2 months | Dec 2005 | 2 months | 4 months | -1.02% |
9 | Apr 2004 | May 2004 | 2 months | Aug 2004 | 3 months | 5 months | -0.89% |
10 | Mar 2006 | Apr 2006 | 2 months | Jul 2006 | 3 months | 5 months | -0.72% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Dec 2007 | May 2012 | 4 years 6 months | -58.63% | |||
2 | Mar 2004 | Jul 2004 | 5 months | Oct 2004 | 3 months | 8 months | -7.17% |
3 | Mar 2005 | Apr 2005 | 2 months | Aug 2005 | 4 months | 6 months | -6.41% |
4 | Oct 2005 | Nov 2005 | 2 months | Jan 2006 | 2 months | 4 months | -4.08% |
5 | May 2006 | May 2006 | 1 month | Jul 2006 | 2 months | 3 months | -2.92% |
6 | Jun 2007 | Aug 2007 | 3 months | Sep 2007 | 1 month | 4 months | -2.81% |
7 | Feb 2007 | Feb 2007 | 1 month | Mar 2007 | 1 month | 2 months | -1.72% |
8 | Jan 2005 | Jan 2005 | 1 month | Feb 2005 | 1 month | 2 months | -1.61% |
Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|
US Stock Market | 8.94% | 13.84% | 33.35% | -37.04% | -50.89% | 0.60 | 0.87 | 1.00 |
Intl Developed ex-US Market | 6.50% | 16.75% | 28.27% | -41.27% | -57.06% | 0.39 | 0.56 | 0.88 |
Emerging Markets | 9.02% | 21.92% | 75.98% | -52.81% | -62.70% | 0.45 | 0.67 | 0.79 |
10-year Treasury | 4.26% | 7.20% | 20.53% | -10.17% | -10.21% | 0.45 | 0.74 | -0.31 |
Global Bonds (Unhedged) | 4.76% | 7.09% | 17.17% | -6.36% | -17.49% | 0.52 | 0.81 | 0.28 |
European Stocks | 6.29% | 18.31% | 33.42% | -44.73% | -59.72% | 0.36 | 0.52 | 0.87 |
Global Bonds (USD Hedged) | 5.47% | 3.67% | 15.30% | -2.35% | -10.03% | 1.12 | 1.88 | 0.17 |
Name | US Stock Market | Intl Developed ex-US Market | Emerging Markets | 10-year Treasury | Global Bonds (Unhedged) | European Stocks | Global Bonds (USD Hedged) | Portfolio 1 | Portfolio 2 | Portfolio 3 | iShares MSCI Spain ETF |
---|---|---|---|---|---|---|---|---|---|---|---|
US Stock Market | 1.00 | 0.88 | 0.79 | -0.31 | 0.28 | 0.87 | 0.17 | 0.87 | 0.87 | 0.17 | 0.70 |
Intl Developed ex-US Market | 0.88 | 1.00 | 0.88 | -0.21 | 0.48 | 0.98 | 0.24 | 0.95 | 0.98 | 0.24 | 0.86 |
Emerging Markets | 0.79 | 0.88 | 1.00 | -0.16 | 0.47 | 0.85 | 0.28 | 0.98 | 0.85 | 0.28 | 0.71 |
10-year Treasury | -0.31 | -0.21 | -0.16 | 1.00 | 0.43 | -0.23 | 0.53 | -0.16 | -0.23 | 0.53 | -0.14 |
Global Bonds (Unhedged) | 0.28 | 0.48 | 0.47 | 0.43 | 1.00 | 0.47 | 0.73 | 0.50 | 0.47 | 0.73 | 0.46 |
European Stocks | 0.87 | 0.98 | 0.85 | -0.23 | 0.47 | 1.00 | 0.22 | 0.92 | 1.00 | 0.22 | 0.88 |
Global Bonds (USD Hedged) | 0.17 | 0.24 | 0.28 | 0.53 | 0.73 | 0.22 | 1.00 | 0.30 | 0.22 | 1.00 | 0.18 |
Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|
US Stock Market | $5,714 | ||
Intl Developed ex-US Market | $3,787 | ||
Emerging Markets | $10,607 | ||
10-year Treasury | $989 | ||
Global Bonds (Unhedged) | $894 | ||
European Stocks | $13,505 | ||
Global Bonds (USD Hedged) | $11,089 |
Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|
US Stock Market | 16.85% | ||
Intl Developed ex-US Market | 22.12% | ||
Emerging Markets | 59.84% | ||
10-year Treasury | -0.55% | ||
Global Bonds (Unhedged) | 1.74% | ||
European Stocks | 100.00% | ||
Global Bonds (USD Hedged) | 100.00% |
Roll Period | Portfolio 1 | Portfolio 2 | Portfolio 3 | iShares MSCI Spain ETF | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Average | High | Low | Average | High | Low | Average | High | Low | Average | High | Low | |
1 year | 9.95% | 65.93% | -44.02% | 8.22% | 58.49% | -52.92% | 5.66% | 20.60% | -5.78% | 8.50% | 59.21% | -48.65% |
3 years | 7.26% | 27.33% | -9.66% | 4.76% | 25.26% | -15.29% | 5.74% | 11.43% | 0.77% | 3.63% | 31.18% | -15.86% |
5 years | 6.53% | 17.57% | -0.24% | 3.63% | 19.69% | -8.16% | 6.06% | 9.07% | 3.03% | 1.97% | 15.07% | -14.05% |
7 years | 6.98% | 12.64% | 2.44% | 3.95% | 10.39% | -1.18% | 6.29% | 7.86% | 4.89% | 1.37% | 11.14% | -4.91% |
10 years | 6.52% | 10.34% | 3.46% | 3.66% | 7.91% | 0.31% | 5.88% | 6.21% | 5.49% | 2.41% | 8.74% | -2.78% |